On univariate forecasting comparisons: the case of the spanish automobile industry

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Facultad de Ciencias Económicas y Empresariales. Instituto Complutense de Análisis Económico (ICAE)
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This paper investigates the forecasting ability of a new univariate models family of unobservable components, when compared with other more standard univariate methodologies. A forecasting exercice is carried out with each method, in monthly time series of automobile sales. The accuracy of the differents methods is assesed by comparing several measures of forecasting performance on the out of sample predictions for various horizons as well as differents assumptions on the models parameters.
El artículo investiga la capacidad predictiva de un nuevo conjunto de modelos univariantes de componentes no observables, comparándolo con otras metodologías univariantes que usan parámetros fijos y variables en el tiempo. Para ello, se lleva a cabo un ejercicio predictivo, con cada uno de los métodos, en series mensuales de ventas de automóviles. Finalmente, se analiza la eficiencia de estos métodos utilizando distintas medidas de comportamiento predictivo fuera de la muestra para diversos horizontes y con supuestos diferentes sobre ciertos parámetros de los modelos.
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